sebjai / Portfolio-Wasserstein-BallLinks
Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elasticity of variance model
☆14Updated 2 years ago
Alternatives and similar repositories for Portfolio-Wasserstein-Ball
Users that are interested in Portfolio-Wasserstein-Ball are comparing it to the libraries listed below
Sorting:
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- ☆26Updated 11 months ago
- ☆12Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Portfolio optimization with cvxopt☆41Updated 7 months ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- ☆24Updated 5 years ago
- ☆14Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 4 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆18Updated 4 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- ☆42Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆27Updated 2 months ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆67Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago
- Algorithmic multi-greek hedges using Python☆20Updated 4 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago